Master of Science in Mathematics - Mathematical Finance
• Analyzing Convergence and Rates of Convergence of Particle Swarm Optimization Algorithms Using Stochastic Approximation Methods
• On multilevel Dyson Brownian motions.
• A Recombining Tree Method for Option Pricing in Switching Jump Diffusion Models
• Optimal Investment with Transaction Costs and Stochastic Volatility
• On the growth rate of a stochastic compounding process
• Fundamental Theorem of Asset Pricing Under Transaction Costs and Model Uncertainty
• A class of globally solvable systems of BSDE
• On path-dependent PDEs.
• Systemic risk measures and their dual representations
• Stability of Utility Maximization in Nonequivalent Markets
• Wiener-Hopf Factorization for Levy Processes with Meromorphic Characteristic Exponent
• Stochastic time stochastic processes
• An $alpha$-Stable Limit Theorem Under Sublinear Expectation
• Optimal Investment/Consumption with Liquid and Illiquid Assets
• Arbitrage-Free Pricing of XVA
• Imagine Software: Will You Be Part of Our Growth?
• Speaker: Olympia Hadjiliadis, Brooklyn College and Graduate Center, CUNY
• Time-Consistent Stopping
• Integral Representation of Martingales in Mathematical Finance
• Convergence and Convergence Rates for Approximating Ergodic Means
• Robust Hedging under Portfolio Constraints
• Moments and geometric ergodicity for diffusions with random switching
• A Gaussian Markov alternative to fractional Brownian motion
• Stabilization by noise of a C2-valued coupled system
• Systemic Risk and Financial Network Models
• Quickest detection in correlated, coupled systems and in the presence of uncertainty.
• Path differentiability of BSDE driven by a continuous martingale.
• Strategic trading with regulatory constraints
• Stochastic PDE with U(1) gauge symmetry
• Variational approximations for exponential random graph models
• ENDOGENOUS FORMATION OF LIMIT ORDER BOOKS: DYNAMICS BETWEEN TRADES
• Persistence of Gaussian Stationary Processes
• Estimating Asset Pricing Factors from Large-Dimensional Panel Data
• Mean Field Games for Strategic Servers
• Metastable behavior of non-reversible dynamics.
• Managing counterparty credit risk via backward SDEs
• Risk-Averse Control of Markov Systems
• An Interactive Agent-Based Model
• Infinite sums of the geometric Brownian motion and generalizations
• Transform Analysis for Markov Processes and its Applications in Finance
• Hedging with Uncertainty-Averse Preferences
• Modeling wealth dynamics under central clearing
• Sensitivity analysis of long-term cash flows
• Martingale optimal transport with stopping
• The Parametrix method for skew diffusions
• SENSITIVITY ANALYSIS OF THE UTILITY MAXIMIZATION PROBLEM WITH RESPECT TO MODEL PERTURBATIONS
• Portfolios generated by optimal transport
• A Mean Field Competition
• Optimal Decisions in a Time Priority Queue
• Robust Pricing and Hedging around the Globe
• Equilibrium Model of Limit Order Books and Optimal Execution Problems
• Optimal Investment and Derivative Demand under Price Impact and is joint work with C. Spilioupoulos of Boston University and M. Anthropelos of University of Pireaus.
• Optimal Equilibria for Time-inconsistency -- the Stopping Case
• Log-optimal portfolios with memory effect
• Diffusion Transformations, Black-Scholes Equation and Optimal Stopping
• Optimal Portfolio under Fractional Stochastic Environment
• Exit problems near hyperbolic equilibria and noisy heteroclinic networks
• Optimal portfolio allocations in a heterogeneous banking system
• An algorithmic approach to the optimal execution problem in finance
• Sharing Profits in the Sharing Economy
• Optimal investment with transient price impact
• Homogenization of a class of one-dimensional nonconvex viscous Hamilton-Jacobi equations with random potential
• Equilibrium Model of Limit Order Book and Optimal Execution Problem
• The Dyson Game
• Yule’s “Nonsense Correlation” Solved!
• FBSDEs with discontinuous coefficients
• Pricing Debt in Interbank Networks with Comonotonic Endowments
• Optimal Bookmaking
• Viscosity solutions for controlled McKean–Vlasov jump-diffusions
• Inverting the Markovian projection, with an application to local stochastic volatility models
• Deep Fictitious Play for Stochastic Differential Games
• Resolving Asset Pricing Puzzles with Price Impact
• PDE Uniqueness for Diffusive Strict Local Martingales
• CANCELLED !!
• TBD
• 5th Eastern Conference on Mathematical Finance
